Dear all,
I want to find the answer to a simple question.
Consider a panel data such as
y(it) = a + a1*x1(it) + a2*x2(it) + a(i) + u(it)
where x2 is predetermined or endogenous. I found a potential set of endogenous variable Z(it) to use as instrument. I know that applying ivreg to such equation provides consitent estimates of a, a1, a2 and u(it) [suppose all variable has been differenced to remove unobserved heterogeneity).
However, i'm also interested in estimating
x2(it) = b + b1*x1(it) + b2*Z(it) + a(i) + e(it),
the first stage of the iv regression. Is such an estimate consitently estimated by ivreg2, first?
Best,
Andrea Sisto
University of Eastern Piedmont (Italy)
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